12-16-2015 07:45 AM
I'm trying to understand the proc glmselect with simple example. However I could not find the example which can be easily understandable.
May I request someone to provide or explain me the basic features of proc glmselect in simple terms?
12-16-2015 08:26 AM
Try these papers:
Applications of the GLMSELECT Procedure for Megamodel Selection
Robert A. Cohen, SAS Institute Inc., Cary, NC
Paper 207-31 (2006)
Introducing the GLMSELECT PROCEDURE for Model Selection
Robert A. Cohen, SAS Institute Inc. Cary, NC
and a recent (2014) paper/presentation as well.
Model Selection for Linear Models with SAS/STAT Software
SAS Institute Inc.
12-16-2015 08:37 AM
The basic idea is that you have a response variable that you want to model, and a candidate list of hundreds of possible explanatory variables. You are not sure which explanatory variables are important and which are not. That is, which variables are good for predicting the response?
The GLMSELECT procedure enables you to throw hundreds of candidate variables into a MODEL statement. It supports running various algorithms that try to produce a parsimonious model based on those candidate variables. In theory, the data themselves choose the variables that are important, rather than the analyst.
12-17-2015 06:19 AM
Certainly. The "Getting Started" example in the PROC GLMSELECT documentation is a simple example. It provides a discussion of syntax and a discussion of how to interpret the output.
12-16-2015 08:45 AM
What exactly you want to do using proc glmselect ...